The ABC Mystery, by Doug Cushman, was a prize from our library's summer reading program several years ago and has been a favorite ever since. It's short rhymes work through each letter of the alphabet as you watch Detective Inspector McGroom solve the case.
A great first mystery story for young kids, with plenty of extra clues in the illustrations for the older crowd.
Unfortunately it looks like this book is out of print! Hopefully your local library will have a copy.